Investment shocks and the commodity basis spread

• 成果类型: Article
• 署名作者: Yang, Fan
• 署名单位: University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.04.012
• 发表日期: 2013
• 页码: 164-184
• 关键词: Commodity futures; Investment-based asset pricing; Investment shocks; Basis spread

摘要

I identify a slope factor in the cross section of commodity futures returns: high-basis commodity futures have higher loadings on this factor than low-basis commodity futures. Combined with a level factor (an index of commodity futures), this slope factor explains most of the average excess returns of commodity futures portfolios sorted by basis. More importantly, I find that this factor is significantly correlated with investment shocks, which represent the technological progress in producing new capital. I investigate a competitive dynamic equilibrium model of commodity production to endogenize this correlation. The model reproduces the cross-sectional futures returns and many asset pricing tests. (c) 2013 Elsevier B.V. All rights reserved.